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Capital market response to emission rights returns: Evidence from the European power sector
16 references·16 citing·37 second hopsampled
Capital market response to emission rights returns: Evidence from the European power sector (2009)Capital market response to emission right…Modeling the price dynamics of CO2 emission allowances (2008)Modeling the price dynamics o…Instrument Choice in Environmental Policy (2008)Instrument Choice in Environm…CO 2 cost pass-through and windfall profits in the power sector (2006)CO 2 cost pass-through and wi…The Capital Asset Pricing Model: Theory and Evidence (2004)The Capital Asset Pricing Mod…Risk factors in stock returns of Canadian oil and gas companies (2001)Risk factors in stock returns…Exchange rate exposure, hedging, and the use of foreign currency derivatives (2001)Exchange rate exposure, hedgi…The Foreign Exchange Exposure of Japanese Multinational Corporations (1998)The Foreign Exchange Exposure…Towards a dynamic theory of strategy (1991)Towards a dynamic theory of s…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIEfficient Capital Markets: II (1991)Efficient Capital Markets: IIThe Exchange-Rate Exposure of U.S. Multinationals (1990)The Exchange-Rate Exposure of…Using Financial Data to Measure Effects of Regulation (1981)Using Financial Data to Measu…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Markets in licenses and efficient pollution control programs (1972)Markets in licenses and effic…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Does carbon price uncertainty affect stock price crash risk? Evidence from China (2023)Does carbon price uncertainty…Emission trading scheme, technological innovation, and competitiveness: Evidence from China's thermal power enterprises (2022)Emission trading scheme, tech…Do carbon ETS pilots improve cities' green total factor productivity? Evidence from a quasi-natural experiment in China (2022)Do carbon ETS pilots improve …The volatility connectedness of the EU carbon market with commodity and financial markets in time- and frequency-domain: The role of the U.S. economic policy uncertainty (2021)The volatility connectedness …Does emission trading system achieve the win-win of carbon emission reduction and financial performance improvement? —Evidence from Chinese A-share listed firms in industrial sector (2021)Does emission trading system …THE IMPACT OF THE EU EMISSIONS TRADING SYSTEM ON COMPETITIVENESS AND CARBON LEAKAGE: THE ECONOMETRIC EVIDENCE (2020)THE IMPACT OF THE EU EMISSION…Carbon pricing and competitiveness: are they at odds? (2020)Carbon pricing and competitiv…What happens to the relationship between EU allowances prices and stock market indices in Europe? (2019)What happens to the relations…The information spillover between carbon price and power sector returns: Evidence from the major European electricity companies (2018)The information spillover bet…The initial impact of EU ETS verification events on stock prices (2016)The initial impact of EU ETS …Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context (2015)Does the carbon market help o…The Impact Of Carbon Trading On Industry: Evidence From German Manufacturing Firms (2014)The Impact Of Carbon Trading …The impact of the EU ETS on the corporate value of European electricity corporations (2012)The impact of the EU ETS on t…Modeling EU allowances and oil market interdependence. Implications for portfolio management (2012)Modeling EU allowances and oi…A literature-based multi-criteria evaluation of the EU ETS (2012)A literature-based multi-crit…Climate Policy & Corporate Behavior (2011)Climate Policy & Corporate Be…Foundations of Economic Analysis (1948)Foundations of Economic Analysis. (1948)Effluent charges and licenses under uncertainty (1976)Experience with Market-Based Environmental Policy Instruments (2003)Climate risks and market efficiency (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)A resource‐based view of the firm (1984)Firm Resources and Sustained Competitive Advantage (1991)The Capabilities of Market-Driven Organizations (1994)Prospering in Dynamically-Competitive Environments: Organizational Capability as Knowledge Integration (1996)The dynamic resource‐based view: capability lifecycles (2003)Firm resources and sustained competitive advantage (2004)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)The Determinants of Firms' Hedging Policies (1985)Risk Management: Coordinating Corporate Investment and Financing Policies (1993)Do Firms Hedge in Response to Tax Incentives? (2002)How much do firms hedge with derivatives? (2003)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Capital Account Liberalization: Theory, Evidence, and Speculation (2007)Political connections and the cost of equity capital (2012)Impact of ESG factors on firm risk in Europe (2016)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)The Use of Foreign Currency Derivatives and Firm Market Value (2001)Using daily stock returns (1985)An Anatomy of Trading Strategies (1998)Inefficient Markets (2000)Short-sale constraints and stock returns (2002)
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References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1991Towards a dynamic theory of strategy3,948 cited
  • 2004The Capital Asset Pricing Model: Theory and Evidence2,057 cited
  • 1972Markets in licenses and efficient pollution control programs1,783 cited
  • 1991Efficient Capital Markets: II1,271 cited
  • 1990The Exchange-Rate Exposure of U.S. Multinationals1,149 cited
  • 2001Exchange rate exposure, hedging, and the use of foreign currency derivatives948 cited
  • 2008Instrument Choice in Environmental Policy886 cited
  • 2008Modeling the price dynamics of CO2 emission allowances695 cited
  • 2001Risk factors in stock returns of Canadian oil and gas companies653 cited
  • 1981Using Financial Data to Measure Effects of Regulation608 cited
  • 1998The Foreign Exchange Exposure of Japanese Multinational Corporations603 cited
  • 2006CO 2 cost pass-through and windfall profits in the power sector

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  • 2021The volatility connectedness of the EU carbon market with commodity and financial markets in time- and frequency-domain: The role of the U.S. economic policy uncertainty150 cited
  • 2022Do carbon ETS pilots improve cities' green total factor productivity? Evidence from a quasi-natural experiment in China148 cited
  • 2020THE IMPACT OF THE EU EMISSIONS TRADING SYSTEM ON COMPETITIVENESS AND CARBON LEAKAGE: THE ECONOMETRIC EVIDENCE142 cited
  • 2014The Impact Of Carbon Trading On Industry: Evidence From German Manufacturing Firms140 cited
  • 2021Does emission trading system achieve the win-win of carbon emission reduction and financial performance improvement? —Evidence from Chinese A-share listed firms in industrial sector139 cited
  • 2015Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context139 cited
  • 2019What happens to the relationship between EU allowances prices and stock market indices in Europe?134 cited
  • 2018The information spillover between carbon price and power sector returns: Evidence from the major European electricity companies133 cited
  • 2020Carbon pricing and competitiveness: are they at odds?114 cited
  • 2022Emission trading scheme, technological innovation, and competitiveness: Evidence from China's thermal power enterprises109 cited
  • 2012A literature-based multi-criteria evaluation of the EU ETS106 cited
  • 2011Climate Policy & Corporate Behavior105 cited
  • 2012Modeling EU allowances and oil market interdependence. Implications for portfolio management95 cited
  • 2023Does carbon price uncertainty affect stock price crash risk? Evidence from China93 cited
  • 2016The initial impact of EU ETS verification events on stock prices84 cited
  • 2012The impact of the EU ETS on the corporate value of European electricity corporations81 cited